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Title

Testing for Equality Between Two Copulas

Authors
Rémillard, Bruno
Year 2006
Collection Cahiers de recherche; 2006.05
Abstract We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing procedure on empirical examples in finance, psychology, insurance and medicine.
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RÉMILLARD, Bruno, SCAILLET, Olivier. Testing for Equality Between Two Copulas. 2006 https://archive-ouverte.unige.ch/unige:5745

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Deposited on : 2010-04-15

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